On a Dual Model with Multi-Layer Dividend Strategy under Stochastic Interest

Abstract

In insurance mathematics, a compound Poisson model is often used to describe the aggregate claims of the surplus process. In this paper, we consider the dual model of the compound Poisson model with multi-layer dividend strategy under stochastic interest. We derive a set of integro-differential equations satisfied by the expected total discounted dividends until ruin. The cases where profits follow an exponential distributions are solved.